Exercise of any kind is always good for you, but the New York Times points out that getting out of the gym (or your house) and into the open air adds a few subtle benefits, including an increased chance you'll stick to your routine.

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In some cases, it's all about just being outdoors. Your stride is different when running outside as opposed to on a treadmill, and you're more likely to hit hills, so it's usually a bit more strenuous. You'll also run into wind resistance on a bike or running, which means you burn calories faster because you're expending more energy. More interesting though, are a few smaller studies that suggest we're willing to exercise more, and for a longer period of time when we're outdoors. The New York Times explains why that might be:

Studies haven't yet established why, physiologically, exercising outside might improve dispositions or inspire greater commitment to an exercise program. A few small studies have found that people have lower blood levels of cortisol, a hormone related to stress, after exerting themselves outside as compared with inside. There's speculation, too, that exposure to direct sunlight, known to affect mood, plays a role.

It's still a lot of speculation at this point, but if you're having trouble sticking to an exercise routine it might be worthwhile to move those activities outdoors. Just remember to stay safe in both the winter and the summer.